Estimating parameters in autoregressive models with asymmetric innovations

DOI10.1016/j.spl.2004.10.022zbMath1058.62073OpenAlexW2079764833MaRDI QIDQ5916138

Wing-Keung Wong, Guorui Bian

Publication date: 8 March 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.022

zbMATH Keywords

AutoregressionRobustnessLeast squaresNonnormalityGeneralized logistic distributionModified maximum likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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